Hello and Welcome!
I remember being very nervous at my first event but it pasted after a few minutes!
This site is very good for first timers I think. There are a lot of threads that follow events specifically in your area. Just spending some time browsing the threads is a good way to discover where you can go and you can even make friends who could go with you ^^
As for First time Cosplay it is difficult to say, you need to make sure your comfortable so you get the full experience of the event but be ambitious by all means, it all depends on your current creative skills.
Anyway good luck and I hope you grow to love cosplaying as much as we all do ^^

I'm not a cosplayer, just a photographer, but I think one thing you could do is attend some gatherings in your area for cosplayers...not everyone has to wear a costume or be a photographer at these gatherings, but they're a nice way to meet people who have a shared interest in cosplay. It might help break the ice and you might make some friends who like to cosplay before going to a con....
Good luck!